| dc.contributor.author |
Devulapally, Naresh Kumar |
|
| dc.contributor.author |
Tripurana, Tulasi Narendra Das |
|
| dc.coverage.spatial |
United States of America |
|
| dc.date.accessioned |
2023-03-09T15:26:17Z |
|
| dc.date.available |
2023-03-09T15:26:17Z |
|
| dc.date.issued |
2023-02 |
|
| dc.identifier.citation |
Devulapally, Naresh Kumar and Tripurana, Tulasi Narendra Das, "Physical momentum in the Indian stock market", arXiv, Cornell University Library, DOI: arXiv:2302.13245, Feb. 2023. |
|
| dc.identifier.uri |
http://arxiv.org/abs/2302.13245 |
|
| dc.identifier.uri |
https://repository.iitgn.ac.in/handle/123456789/8640 |
|
| dc.description.abstract |
Our study focuses on determining the presence of abnormal returns for physical momentum portfolios in the context of the Indian market. The physical momentum portfolios, comprising stocks from the NSE 500, are constructed for the daily, weekly, monthly, and yearly timescales. In the aforementioned timescales, we empirically evaluate the historical returns and varied risk profiles of these portfolios for the years 2014-2021. It has been observed that the best-performing physical momentum portfolios from each of the four timescales achieved higher returns and better risk measures when compared to the benchmark NIFTY 50 portfolio. We further find that the high-frequency daily time scale exhibits the strongest reversal in the physical momentum effect, wherein the portfolio yielded a 16-fold profit over the initial investment. |
|
| dc.description.statementofresponsibility |
by Naresh Kumar Devulapally and Tulasi Narendra Das Tripurana |
|
| dc.language.iso |
en_US |
|
| dc.publisher |
Cornell University Library |
|
| dc.subject |
Physical momentum |
|
| dc.subject |
Indian market |
|
| dc.subject |
NIFTY 50 |
|
| dc.subject |
NSE 500 |
|
| dc.subject |
Investment |
|
| dc.title |
Physical momentum in the Indian stock market |
|
| dc.type |
Pre-Print Archive |
|
| dc.relation.journal |
arXiv |
|